This study aimed to explore the relationship between macroeconomic variables and Malaysia's stock market index which is the FTSE Bursa Malaysia KLCI (KLCI) during pandemic happens in the world. The selected macroeconomic variables were the gross domestic product, inflation rate, exchange rate, interest rate and industrial production index were taken as independent variables as well as the period of the pandemic as a dummy variable while the stock market's KLCI was the dependent variable. To capture the maximum variation in the stock market, a time series analysis was done on monthly data from the year 2002 to 2020. The pandemic events which could affect Malaysia's stock market were Severe Acute Respiratory Syndrome (SARS), Swine Flu (H1N1), Middle East Respiratory Syndrome (MERS) and Coronavirus Disease 2019 . Multiple Linear Regression analysis was used to explore the statistical relationship and evaluate the hypothesis in this paper. The result showed a statistically significant positive relationship between gross domestic product and industrial production and a statistically significant negative relationship for the exchange rate. However, for inflation, interest rate and the dummy for a pandemic is statistically insignificant.
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